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Sage Nun Aplied BA 20 + 3 ID A 00 Problem 2 Let B, be a Brownian motion. Show that the following processes Brownian moti
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- Sage Nun Aplied Ba 20 3 Id A 00 Problem 2 Let B Be A Brownian Motion Show That The Following Processes Brownian Moti 1 (41.95 KiB) Viewed 75 times
Sage Nun Aplied BA 20 + 3 ID A 00 Problem 2 Let B, be a Brownian motion. Show that the following processes Brownian motions on (0,T]. X(t) = -B(T-) - B(T), t<Too and X(t) = tB(1/t), t > 0 and X (0) = 0. 1 a Problem 3 Let Xt, t > 0, be a stationary process. Show that the covarian function Cov[X4, X.] : [0,00) > [0,00) + R is a function of t - s only. Moreov deduce that for Gaussian processes stationarity is equivalent to the requiremer that the mean function is a constant and the covariance function is a function 131 LAS S'C Overva molt SUS